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FoReco

The FoReco (Forecast Reconciliation) package is designed for point forecast reconciliation, a post-forecasting process aimed to improve the quality of the base forecasts for a system of linearly constrained (e.g. hierarchical/grouped) time series.

It offers classical (bottom-up), optimal and heuristic combination forecast reconciliation procedures by exploiting cross-sectional, temporal, and cross-temporal relationships linking the time series.

The main functions are:

  • htsrec(): cross-sectional (contemporaneous) forecast reconciliation.
  • thfrec(): forecast reconciliation for a single time series through temporal hierarchies.
  • tcsrec(): heuristic first-temporal-then-cross-sectional cross-temporal forecast reconciliation.
  • cstrec(): heuristic first-cross-sectional-then-temporal cross-temporal forecast reconciliation.
  • iterec(): heuristic iterative cross-temporal forecast reconciliation.
  • octrec(): optimal combination cross-temporal forecast reconciliation.

Installation

You can install the stable version on R CRAN

install.packages('FoReco', dependencies = TRUE)

You can also install the development version from Github

# install.packages("devtools")
devtools::install_github("daniGiro/FoReco", build_vignettes = TRUE)

Links

Getting help

If you encounter a clear bug, please file a minimal reproducible example on GitHub.

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Version

Install

install.packages('FoReco')

Monthly Downloads

540

Version

0.1.1

License

GPL-3

Issues

Pull Requests

Stars

Forks

Maintainer

Daniele Girolimetto

Last Published

October 17th, 2020

Functions in FoReco (0.1.1)

cstrec

Heuristic first-cross-sectional-then-temporal cross-temporal forecast reconciliation
Cmatrix

Cross-sectional (contemporaneous) aggregation matrix
commat

Commutation matrix
FoReco-thief

Simple examples to compare FoReco and thief packages
FoReco2ts

Reconciled forecasts matrix/vector to time-series class
FoReco-package

FoReco: point forecast reconciliation
ctbu

Bottom-up Cross-temporal forecast reconciliation
FoReco-hts

Simple examples to compare FoReco and hts packages
FoReco_data

Forecast reconciliation for a simulated hierarchical time series
ctf_tools

Cross-temporal reconciliation tools
score_index

Measuring forecasting accuracy
shrink_estim

Shrinkage of the covariance matrix
thf_tools

Temporal reconciliation tools
tcsrec

Heuristic first-temporal-then-cross-sectional cross-temporal forecast reconciliation
iterec

Iterative heuristic cross-temporal forecast reconciliation
octrec

Optimal combination cross-temporal forecast reconciliation
thfrec

Forecast reconciliation through temporal hierarchies (temporal reconciliation)
htsrec

Cross-sectional (contemporaneous) forecast reconciliation
hts_tools

Cross-sectional reconciliation tools